This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in...

Purpose: This study aims to investigate whether and how various sentiments affect the stock market's reaction to the ACSI (American Customer Satisfaction Index) information.Design/methodology/approach: The portfolio approach with time-varying risk factor loadings and the asset-pricing models are...